Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 2
Score -1.51 -0.53 -1.41
Market Cap (Millions USD) 2709.57 2704.39 2693.58
Predicted Beta 0.2 0.19 0.19
Idiosyncratic Volatility 1.17 1.19 1.69

Annualized return and volatility

EWC
Annualized Return 0.0603
Annualized Std Dev 0.2219
Annualized Sharpe (Rf=0%) 0.2715

Row

Daily Return Statistics

EWC
Observations 5111.0000
NAs 2.0000
Minimum -0.1101
Quartile 1 -0.0061
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0071
Maximum 0.1236
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0140
Skewness -0.2717
Kurtosis 6.2508

Downside Risk

EWC
Semi Deviation 0.0102
Gain Deviation 0.0095
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6075
Historical VaR (95%) -0.0216
Historical ES (95%) -0.0337
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0393
From Trough To Depth Length To Trough Recovery
2007-11-07 2009-03-09 2011-04-05 -0.6075 874 344 530
2000-09-06 2002-10-09 2004-11-03 -0.5173 1065 533 532
2014-09-04 2016-01-20 2019-11-15 -0.4137 1332 354 978
2011-04-11 2011-10-04 2014-06-23 -0.2848 820 125 695
2007-07-20 2007-08-16 2007-09-25 -0.1451 48 20 28

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWC
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.4 0.7 0.0 0.7 3.1 0.0 -2.4 1.5 0.0 -0.4 1.9 0 5.4
2001 0.3 -0.6 0.0 0.4 0.4 0.0 0.5 0.0 -0.5 2.4 0.0 0 2.9
2002 0.5 0.0 -0.5 -0.1 0.0 0.6 1.0 0.0 3.5 0.8 0.0 0 5.7
2003 0.0 0.0 0.7 -0.5 0.0 -1.8 0.6 0.0 1.0 0.0 0.2 0 0.2
2004 0.0 0.9 1.4 0.0 0.4 0.1 0.0 1.5 1.2 -0.4 0.3 0 5.5
2005 1.0 -0.4 -0.4 0.0 0.8 -0.7 0.8 1.7 0.0 0.4 1.9 0 5.0
2006 -0.2 1.1 0.0 0.4 0.0 0.0 0.5 0.9 0.0 -2.9 0.0 0 -0.2
2007 0.7 -0.9 0.0 -0.9 1.2 0.0 -0.9 0.0 1.3 -2.6 0.0 0 -2.2
2008 2.1 0.0 1.2 -0.3 0.0 0.2 -1.8 0.0 -0.7 0.0 -4.5 0 -3.8
2009 0.0 0.0 3.2 3.3 1.7 1.4 0.0 -2.6 -4.2 0.0 3.2 0 6.0
2010 1.9 2.0 1.8 0.0 -1.2 -1.0 0.0 2.1 1.1 0.4 2.4 0 9.8
2011 2.0 -0.6 1.0 0.0 -2.8 0.7 0.2 -0.1 0.0 -3.3 -0.2 0 -3.2
2012 0.9 1.0 0.0 0.6 -1.9 0.0 -0.5 0.0 0.7 0.7 0.0 0 1.6
2013 0.7 0.3 -0.4 -0.9 0.0 0.3 0.3 0.0 0.4 -0.3 0.0 0 0.4
2014 0.0 0.0 0.5 -0.2 0.0 0.5 -1.0 0.0 -0.8 0.0 -0.3 0 -1.2
2015 0.0 0.0 0.4 0.1 -0.3 -0.4 0.0 -3.2 0.0 0.0 1.4 0 -2.0
2016 -0.5 2.2 -0.4 0.0 0.2 1.3 -1.2 0.7 0.0 0.1 0.4 0 2.8
2017 -0.3 0.7 0.0 -0.2 0.7 0.0 -0.3 0.9 0.0 0.3 1.5 0 3.5
2018 -0.3 -0.6 0.0 0.0 -0.1 0.0 -0.3 0.0 1.2 1.1 0.0 0 0.8
2019 0.3 -0.5 1.3 -0.7 0.0 0.2 -0.5 0.0 -1.3 0.9 0.0 0 -0.3

Row

Rolling Performance Chart

Snail Trail Chart